粗糙Volterra随机波动模型的鲁棒性和敏感性分析

IF 0.8 Q4 BUSINESS, FINANCE
Jan Matas, Jan Pospíšil
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引用次数: 2

摘要

本文分析了不同连续时间粗糙Volterra随机波动率模型在市场校准过程中的鲁棒性和灵敏度。从期权价格估计的敏感性和参数估计对期权数据结构变化的敏感性两个角度考察模型的稳健性。下面的敏感性分析包括统计检验,以确定给定的研究模型是否对基于参数估计分布的期权数据结构的变化敏感。本文以2015年4月和5月四个交易日的苹果公司股票期权为数据集进行实证研究。特别地,提供了RFSV、rBergomi和\(\alpha \) RFSV模型的结果,并与Heston、Bates和AFSVJD模型的结果进行了比较。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Robustness and sensitivity analyses of rough Volterra stochastic volatility models

Robustness and sensitivity analyses of rough Volterra stochastic volatility models

In this paper, we analyze the robustness and sensitivity of various continuous-time rough Volterra stochastic volatility models in relation to the process of market calibration. Model robustness is examined from two perspectives: the sensitivity of option price estimates and the sensitivity of parameter estimates to changes in the option data structure. The following sensitivity analysis consists of statistical tests to determine whether a given studied model is sensitive to changes in the option data structure based on the distribution of parameter estimates. Empirical study is performed on a data set consisting of Apple Inc. equity options traded on four different days in April and May 2015. In particular, the results for RFSV, rBergomi and \(\alpha \)RFSV models are provided and compared to the results for Heston, Bates, and AFSVJD models.

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来源期刊
Annals of Finance
Annals of Finance BUSINESS, FINANCE-
CiteScore
2.00
自引率
10.00%
发文量
15
期刊介绍: Annals of Finance provides an outlet for original research in all areas of finance and its applications to other disciplines having a clear and substantive link to the general theme of finance. In particular, innovative research papers of moderate length of the highest quality in all scientific areas that are motivated by the analysis of financial problems will be considered. Annals of Finance''s scope encompasses - but is not limited to - the following areas: accounting and finance, asset pricing, banking and finance, capital markets and finance, computational finance, corporate finance, derivatives, dynamical and chaotic systems in finance, economics and finance, empirical finance, experimental finance, finance and the theory of the firm, financial econometrics, financial institutions, mathematical finance, money and finance, portfolio analysis, regulation, stochastic analysis and finance, stock market analysis, systemic risk and financial stability. Annals of Finance also publishes special issues on any topic in finance and its applications of current interest. A small section, entitled finance notes, will be devoted solely to publishing short articles – up to ten pages in length, of substantial interest in finance. Officially cited as: Ann Finance
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